Solution of Fokker-Planck Non-linear Equation

Annotation

Stock market is researched in this study. The author tries to develop a concept that helps him in forecasting price process. The author studied premises which allow him to create a specific trading algorithm that works according to developed instructions and gives signals to specialists to buy or sell financial assets. As an instrument of forecasting stock market the probability density function is used, it is a solution of nonlinear Fokker-Planck equation. Before obtaining this function the author estimates its parameterizing functions. For that a variational task is solved on searching a function that not only maximizes informational entropy, but also meets equilibrium pricing on market.  As a result, by using the obtained probability density function the author models one of the possible price trajectories. It gives us an idea of how the price of this asset will evolve in time. This study is of only scientific interest, although it creates necessary basis for future development of trade algorithm.